Christopher Cain

S&P 500 returns in the 3 months pre and post midterms since 1946... **this is price only returns** 1.8% average before vs 7.5% after

L/S momentum factor (S&P 500, sector-neutral) has retraced about half of its late summer situational awareness bloodbath. Still up ~18% on the year tho

Average pairwise correlations near historic lows. Here we take the avg of trailing 30-day correlation readings using all possible combinations of stocks in the S&P 500 through time

Large gap between index-level vol and average stock-level vol

Near-record idiosyncratic variance ... stock-specific forces are dominating market forces. This is calculated by regressing every point-in-time S&P 500 member's 26-weeks of returns on the S&P 500 and taking 1 − R² as the share of that stock's variance the index doesn't explain.

Some weird stuff going on under the hood of the S&P 500 right now None of this is necessarily bearish IMO, but worth watching: The index looks pretty calm. Underneath, stocks are increasingly doing their own thing. Record % of stocks with negative 26-week market betas:

Since ChatGPTs 2022 launch, S&P 500 semiconductor margins: - net income +22.5 percentage points - operating +25.34pp - gross +15.58pp

Breadth has been unusually narrow in the recent rally Not enough to be bearish on its own IMO (we’re within 2% of ATHs after all), but something to watch Historically, an ~18% 6-month rally would typically have ~85% of stocks above their 200-day MAs... today it’s more like 50%.

So you're saying ... "A Show About Nothing" lol

Value Factor valuation ratio, aka the ratio between the cheapest and the more expensive stocks, remains below averages. Cheap quintile in SPX trades around 13% the valuations of expensive.

Same deal with margins. Forward profit margins highest since 2000. 67 months in our 316-month sample traded at higher valuations. However, those periods carried a median forward margin of just 12%, 340 bps below today.